Also I noticed another difference: trades reported via Alpaca which has condition “F” (Intermarket Sweep) doesn’t have any condition like “Trade Thru Exempt” with them.
“{\n "T": "t",\n "i": 56056,\n "S": "AAPL",\n "x": "P",\n "p": 120.22,\n "s": 100,\n "t": "2021-03-10T17:08:21.151366144Z",\n "c": [\n "@",\n "F"\n ],\n "z": "C"\n}”
But in poly feed and historic data most of condition 14 (Intermarket Sweep) trades also have condition 41(Trade Thru Exempt) attached to them.
For trading decision purpose I generally ignore trades with condition 41 because they doesn’t reflect true price. But on Alpaca side this is missing.
The same trade look like this on Poly side
price: 120.22
size: 100
trade_id: “56056”
exchange_id: 11
tape: 3
sip_timestamp {
seconds: 1615396101
nanos: 151729411
}
exchange_timestamp {
seconds: 1615396101
nanos: 151366144
}
sequence_no: 3742968
condition: 14
condition: 41